EconPapers    
Economics at your fingertips  
 

How to interpret the CPIS data on the distribution of foreign portfolio assets in the presence of sizeable cross-border positions in mutual funds. Evidence for Italy and the main euro-area countries

Alberto Felettigh () and Paola Monti ()
Additional contact information
Paola Monti: Banca d'Italia

No 16, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: The data collected by the IMF in the Coordinated Portfolio Investment Survey (CPIS) provide a unique source for foreign portfolio asset holdings, with details on the breakdown by instrument and counterpart country. In the presence of sizeable cross-border positions in mutual funds, which are indistinctly classified as equity assets, the economic interpretation of the instrument and geographic composition of a country�s foreign assets might be distorted. The instrument composition tends to be skewed towards equity assets; the geographical one tends to be biased towards the countries hosting the mutual funds. This is the case of Italy, whose position in Irish and Luxembourgian mutual funds represents more than half of its entire foreign portfolio equity assets. France, Germany and Spain are in a similar, yet less disproportionate, situation. The paper proposes a correction method in order to �pierce the veils� introduced by positions in foreign mutual funds.

Keywords: CPIS; asset allocation; mutual funds; index of foreign bias (search for similar items in EconPapers)
JEL-codes: F36 G11 (search for similar items in EconPapers)
Date: 2008-08
New Economics Papers: this item is included in nep-eec
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29) Track citations by RSS feed

Downloads: (external link)
https://www.bancaditalia.it/pubblicazioni/qef/2008-0016/QEF_16.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_16_08

Access Statistics for this paper

More papers in Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2022-07-31
Handle: RePEc:bdi:opques:qef_16_08